Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0255 |
| Annualized Std Dev | 0.2901 |
| Annualized Sharpe (Rf=0%) | -0.0880 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4653.0000 |
| NAs | 1.0000 |
| Minimum | -0.2900 |
| Quartile 1 | -0.0043 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0046 |
| Maximum | 0.4444 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0183 |
| Skewness | 2.4821 |
| Kurtosis | 122.9118 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0168 |
| Loss Deviation | 0.0166 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.8358 |
| Historical VaR (95%) | -0.0173 |
| Historical ES (95%) | -0.0398 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.2429 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-04-01 | 2009-03-09 | NA | -0.8358 | 4272 | 1242 | NA |
| 2003-07-09 | 2003-08-04 | 2004-01-12 | -0.1227 | 130 | 19 | 111 |
| 2002-10-01 | 2002-11-22 | 2003-02-03 | -0.0698 | 86 | 39 | 47 |
| 2003-02-11 | 2003-03-21 | 2003-04-29 | -0.0495 | 54 | 28 | 26 |
| 2004-01-22 | 2004-02-24 | 2004-03-08 | -0.0248 | 32 | 23 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 | -0.1 | -0.8 | 0 | -1.3 |
| 2003 | 0 | 0.3 | 0 | 0 | 0.6 | 0.4 | -1.8 | -0.2 | 0.7 | 0.7 | 0 | 0.1 | 0.8 |
| 2004 | 0.4 | 0.4 | -0.4 | 1.2 | 0.7 | 1.1 | 0.6 | -0.3 | 0.4 | 0 | 0.1 | 0.3 | 4.6 |
| 2005 | 0.4 | 0.1 | 0.1 | 1.1 | 0.3 | 0.3 | -0.3 | -0.1 | 0.3 | -0.5 | 1.8 | 1.1 | 4.6 |
| 2006 | 0.8 | 0.1 | 0.1 | -0.4 | 0.4 | 0.7 | 0.2 | -0.1 | 0.5 | -0.3 | 0.4 | 0.8 | 3 |
| 2007 | 0.3 | -1 | 0.1 | 0.4 | 0.1 | 0.6 | -1.1 | 1.9 | 0.8 | -0.2 | 3.4 | -0.9 | 4.4 |
| 2008 | 0.5 | -1.5 | 1.8 | 1.1 | 0 | 0.4 | 0.3 | 1.7 | 0.7 | 4.2 | -3 | 2.6 | 9.2 |
| 2009 | -1.6 | -2.8 | 2.5 | 5.5 | 3.1 | 0.3 | 1.8 | -4.1 | 0.4 | 0 | 1.6 | 0.3 | 6.9 |
| 2010 | -0.7 | 0.9 | 0.3 | -0.4 | 0 | -0.5 | 0.8 | -0.1 | -0.2 | -0.4 | -0.5 | 0.1 | -0.8 |
| 2011 | 0.6 | 0.2 | -0.7 | -0.1 | -2.1 | 0.4 | 1.5 | 0 | -2.2 | -0.5 | 0.3 | -0.3 | -2.9 |
| 2012 | -0.1 | -0.8 | -1.3 | 0.7 | -0.3 | 0.2 | 2.9 | 0.1 | 1.3 | 1.2 | -0.3 | 3.6 | 7.2 |
| 2013 | 0.5 | -0.7 | -0.2 | -0.1 | -2.4 | 0.7 | -0.1 | 0.7 | -0.2 | -0.4 | 0.2 | 0.1 | -1.8 |
| 2014 | 0.2 | 0.1 | 0.9 | 0.2 | 0.9 | 0.3 | 0 | 0.2 | 0.1 | -0.2 | 0 | -0.2 | 2.6 |
| 2015 | 0.4 | 0.5 | 0.5 | 0.1 | 0 | 0.5 | 0.9 | -0.1 | 0.1 | 1.1 | 0.4 | 0.6 | 5.2 |
| 2016 | 1.4 | -0.1 | -0.2 | 0.4 | 0.4 | 0.8 | -0.3 | -0.1 | 0.5 | -0.3 | -1.7 | 0.1 | 0.9 |
| 2017 | 0 | -0.2 | 0.4 | 0.2 | 0.4 | 0.4 | 0.5 | 0.6 | 0.5 | 0.4 | 0.6 | 0 | 3.8 |
| 2018 | -0.3 | 0.3 | 2 | 0.3 | 0.5 | 0.2 | 0 | -0.1 | -1.3 | 0.2 | 0.8 | 0.1 | 2.9 |
| 2019 | -0.7 | 0.7 | 1.1 | -0.2 | -1.4 | 0.2 | -0.1 | 0.1 | 0.5 | 0.5 | 0 | 0.7 | 1.4 |
| 2020 | -0.7 | -4.1 | -7.7 | -1.8 | 0.1 | 1.9 | 0.6 | -0.4 | 1.1 | -0.1 | 1.1 | 0.9 | -9.2 |
| 2021 | 0.3 | 0.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-09-24 15.0 SPY 82.3 -0.0161 -0.0628 -0.130 -0.156 -0.183 -0.384 NA <NA> NA NA NA
2 2002-09-25 15.1 SPY 84.4 0.0248 -0.0299 -0.114 -0.137 -0.171 -0.355 NA <NA> NA NA NA
3 2002-09-26 15.1 SPY 85.7 0.0164 0.0122 -0.0895 -0.138 -0.154 -0.344 NA <NA> NA NA NA
4 2002-09-27 15.1 SPY 82.8 -0.0348 -0.019 -0.102 -0.164 -0.191 -0.353 NA <NA> NA NA NA
5 2002-09-30 15.2 SPY 81.8 -0.0116 -0.0224 -0.112 -0.157 -0.217 -0.360 NA <NA> NA NA NA
6 2002-10-01 15.1 SPY 85.7 0.048 0.0414 -0.066 -0.0974 -0.178 -0.333 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
